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Partially-Observed Vector AutoRegressions

DOI

This repository contains the code associated with the manuscript Minimax Estimation of Partially-Observed Vector AutoRegressions, by Guillaume Dalle and Yohann De Castro. The notebooks allow anyone to re-generate the plots included in the paper.

Setup

Before running the code, you need to follow the following steps:

  1. Install Poetry by following the instructions on https://python-poetry.org/
  2. Clone the repository and open a terminal there.
  3. Run poetry install to download the necessary dependencies and install them.
  4. Run poetry shell to activate the environment.
  5. Run jupyter notebook to launch the notebook server.